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Orchid Island Capital Announces March 2018 Monthly Dividend and February 28, 2018 RMBS Portfolio Characteristics

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  • March 2018 Monthly Dividend of $0.09 Per Share
  • RMBS Portfolio Characteristics as of February 28, 2018

VERO BEACH, Fla., March 08, 2018 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of March 2018. The dividend of $0.09 per share will be paid April 10, 2018, to holders of record on March 29, 2018, with an ex-dividend date of March 28, 2018. 

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust ("REIT"), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of March 8, 2018, the Company had 53,065,790 shares outstanding. At December 31, 2017, the Company had 53,061,904 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 2018 are presented below. These figures are preliminary and subject to change.  The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

  • RMBS Valuation Characteristics
  • RMBS Assets by Agency
  • Investment Company Act of 1940 (Whole Pool) Test Results
  • Repurchase Agreement Exposure by Counterparty
  • RMBS Risk Measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company's distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the "Risk Factors" section of the Company's Form 10-K for the year ended December 31, 2017.

RMBS Valuation Characteristics                  
($ in thousands)                  
              Percentage Weighted Realized
    Current   Fair   Current of Average Feb 2018 CPR
Asset Category   Face   Value   Price Portfolio Coupon (Reported in Mar)
As of February 28, 2018                  
Adjustable Rate RMBS $ 1,649 $ 1,740 $ 105.53 0.05 % 3.95 % 0.02 %
10-1 Hybrid Rate RMBS   26,568   26,448   99.55 0.69 % 2.59 % 0.70 %
Hybrid Adjustable Rate RMBS   26,568   26,448   99.55 0.69 % 2.59 % 0.70 %
15 Year Fixed Rate RMBS   38,111   38,944   102.19 1.02 % 3.50 % 10.69 %
20 Year Fixed Rate RMBS   498,438   517,292   103.78 13.50 % 4.00 % 6.03 %
30 Year Fixed Rate RMBS   2,965,939   3,109,311   104.83 81.16 % 4.32 % 5.71 %
Total Fixed Rate RMBS   3,502,488   3,665,547   104.66 95.68 % 4.26 % 5.81 %
Total Pass-through RMBS   3,530,705   3,693,735   104.62 96.41 % 4.25 % 5.77 %
Interest-Only Securities   735,979   108,333   14.72 2.83 % 3.80 % 11.36 %
Inverse Interest-Only Securities   259,670   29,024   11.18 0.76 % 4.04 % 11.68 %
Structured RMBS   995,649   137,357   13.80 3.59 % 3.85 % 11.44 %
Total Mortgage Assets $ 4,526,354 $ 3,831,092     100.00 % 4.24 % 7.02 %


RMBS Assets by Agency         Investment Company Act of 1940 Whole Pool Test
($ in thousands)         ($ in thousands)      
      Percentage         Percentage
    Fair of       Fair of
Asset Category   Value Portfolio   Asset Category   Value Portfolio
As of February 28, 2018         As of February 28, 2018      
Fannie Mae $ 2,291,799 59.8 %   Whole Pool Assets $ 3,129,859 81.7 %
Freddie Mac   1,533,373 40.0 %   Non-Whole Pool Assets   701,233 18.3 %
Ginnie Mae   5,920 0.2 %   Total Mortgage Assets $ 3,831,092 100.0 %
Total Mortgage Assets $ 3,831,092 100.0 %          




Borrowings By Counterparty              
($ in thousands)              
            Weighted  
        % of   Average  
    Total   Total   Maturity Longest
As of February 28, 2018   Borrowings   Debt   in Days Maturity
J.P. Morgan Securities LLC $ 592,982   16.5 %   95 8/10/2018
Mirae Asset Securities (USA) Inc.   393,335   10.8 %   50 8/10/2018
Wells Fargo Bank, N.A.   273,290   7.5 %   14 3/14/2018
Citigroup Global Markets Inc   226,543   6.2 %   16 3/19/2018
RBC Capital Markets, LLC   219,183   6.0 %   12 3/12/2018
Guggenheim Securities, LLC   207,991   5.7 %   15 3/27/2018
Cantor Fitzgerald & Co   196,124   5.4 %   16 3/16/2018
ING Financial Markets LLC   192,698   5.3 %   11 3/12/2018
Mitsubishi UFJ Securities (USA), Inc   173,432   4.8 %   19 3/23/2018
Goldman, Sachs & Co   154,046   4.2 %   16 3/29/2018
ICBC Financial Services LLC   151,117   4.1 %   2 3/2/2018
Nomura Securities International, Inc.   136,686   3.7 %   18 3/29/2018
KGS-Alpha Capital Markets, L.P   124,525   3.4 %   43 8/14/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated   111,128   3.0 %   9 3/14/2018
Natixis, New York Branch   103,550   2.8 %   20 3/26/2018
FHLB-Cincinnati   92,054   2.5 %   1 3/1/2018
ED&F Man Capital Markets Inc   86,115   2.4 %   17 3/22/2018
Mizuho Securities USA, Inc   73,769   2.0 %   17 3/22/2018
Daiwa Securities America Inc.   67,255   1.8 %   10 3/12/2018
Lucid Cash Fund USG LLC   40,111   1.1 %   13 3/13/2018
J.V.B. Financial Group, LLC   18,697   0.5 %   13 3/14/2018
South Street Securities, LLC   10,614   0.3 %   28 3/28/2018
Total Borrowings $ 3,645,245   100.0 %   32 8/14/2018




RMBS Risk Measures                    
($ in thousands)                    
Mortgage Assets                    
      Weighted              
      Average   Weighted Weighted   Modeled   Modeled
      Months   Average Average   Interest   Interest
      To Next   Lifetime Periodic   Rate   Rate
    Fair Coupon Reset   Cap Cap Per Year   Sensitivity   Sensitivity
Asset Category   Value (if applicable)   (if applicable) (if applicable)   (-50 BPS)(1)   (+50 BPS)(1)
As of February 28, 2018                    
Adjustable Rate RMBS $ 1,740 4   10.05% 2.00% $ 8   $ (6 )
Hybrid Adjustable Rate RMBS   26,448 58   7.59% 2.00%   386     (406 )
Total Fixed Rate RMBS   3,665,547 n/a   n/a n/a   74,508     (93,300 )
Total Pass-through RMBS   3,693,735 n/a   n/a n/a   74,902     (93,712 )
Interest-Only Securities   108,333 n/a   n/a n/a   (12,083 )   8,526  
Inverse Interest-Only Securities   29,024 1   5.28% n/a   3,050     (3,647 )
Structured RMBS   137,357 n/a   n/a n/a   (9,033 )   4,879  
Total Mortgage Assets $ 3,831,092 n/a   n/a n/a $ 65,869   $ (88,833 )
                     
Funding Hedges                    
                Modeled   Modeled
                Interest   Interest
          Average Hedge   Rate   Rate
          Notional Period   Sensitivity   Sensitivity
          Balance(2) End Date   (-50 BPS)(1)   (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $ 1,454,545   Dec-2020 $ (20,000 ) $ 20,000  
Treasury Futures Contracts - Short Positions   165,000   Jun-2018   (4,374 )   4,308  
Payer Swaps   1,010,000   Aug-2022   (12,175 )   12,175  
Payer Swaption   750,000   Aug-2028   (5,462 )   13,106  
Receiver Swaption   100,000   Feb-2024   1,141     (478 )
TBA Short Positions   400,000   Mar-2018   (11,708 )   13,640  
Total Hedges         (52,578 )   62,751  
               
Grand Total       $ 13,291   $ (26,082 )

(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially
(2) Five year treasury futures contracts were valued at prices of $113.93 at February 28, 2018.  The notional contract value of the short position was $188.0 million.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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